| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 39.0% | 4.0% |
| Cumulative Return | 828.0% | 101.29% |
| CAGR﹪ | 71.04% | 18.36% |
| Sharpe | 0.22 | 0.09 |
| Prob. Sharpe Ratio | 99.89% | 88.65% |
| Smart Sharpe | 0.22 | 0.09 |
| Sortino | 0.31 | 0.12 |
| Smart Sortino | 0.31 | 0.12 |
| Sortino/√2 | 0.22 | 0.09 |
| Smart Sortino/√2 | 0.22 | 0.09 |
| Omega | 1.08 | 1.08 |
| Max Drawdown | -37.81% | -83.88% |
| Longest DD Days | 712 | 679 |
| Volatility (ann.) | 6.05% | 10.35% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 1.88 | 0.22 |
| Skew | -0.57 | -1.12 |
| Kurtosis | 89.23 | 254.73 |
| Expected Daily | 0.0% | 0.0% |
| Expected Monthly | 4.47% | 1.38% |
| Expected Yearly | 44.96% | 12.37% |
| Kelly Criterion | 3.79% | 26.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.62% | -1.07% |
| Expected Shortfall (cVaR) | -0.62% | -1.07% |
| Max Consecutive Wins | 22 | 1 |
| Max Consecutive Losses | 8 | 1 |
| Gain/Pain Ratio | 0.41 | 0.1 |
| Gain/Pain (1M) | 2.57 | 0.48 |
| Payoff Ratio | 1.02 | 1.97 |
| Profit Factor | 1.08 | 1.1 |
| Common Sense Ratio | 1.18 | - |
| CPC Index | 0.57 | 1.11 |
| Tail Ratio | 1.1 | - |
| Outlier Win Ratio | 12.8 | 28.27 |
| Outlier Loss Ratio | 2.75 | 0.42 |
| MTD | -6.27% | 2.28% |
| 3M | 19.08% | 41.83% |
| 6M | 18.97% | 4.14% |
| YTD | 24.17% | 41.61% |
| 1Y | 6.25% | -47.63% |
| 3Y (ann.) | 62.34% | 21.64% |
| 5Y (ann.) | 71.04% | 18.36% |
| 10Y (ann.) | 71.04% | 18.36% |
| All-time (ann.) | 71.04% | 18.36% |
| Best Day | 11.35% | 18.39% |
| Worst Day | -12.64% | -22.7% |
| Best Month | 47.39% | 54.23% |
| Worst Month | -11.65% | -42.32% |
| Best Year | 208.16% | 200.38% |
| Worst Year | -4.63% | -71.22% |
| Avg. Drawdown | -2.83% | -11.42% |
| Avg. Drawdown Days | 8 | 52 |
| Recovery Factor | 21.9 | 1.21 |
| Ulcer Index | 0.21 | 0.49 |
| Serenity Index | 0.42 | 0.02 |
| Avg. Up Month | 17.52% | 22.21% |
| Avg. Down Month | -5.06% | -14.88% |
| Win Days | 51.33% | 51.29% |
| Win Month | 54.35% | 52.0% |
| Win Quarter | 52.94% | 52.94% |
| Win Year | 80.0% | 80.0% |
| Beta | 0.01 | - |
| Alpha | 0.01 | - |
| Correlation | 1.72% | - |
| Treynor Ratio | 82282.97% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | 0.00 | 0.00 | nan | + |
| 2019 | 51.12 | 86.40 | 1.69 | + |
| 2020 | 200.38 | 208.16 | 1.04 | + |
| 2021 | 8.81 | 36.43 | 4.14 | + |
| 2022 | -71.22 | -4.63 | 0.07 | + |
| 2023 | 41.61 | 24.17 | 0.58 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-06-26 | 2020-04-30 | -37.81 | 308 |
| 2021-03-13 | 2023-02-24 | -33.10 | 712 |
| 2021-01-08 | 2021-02-08 | -22.84 | 31 |
| 2020-05-08 | 2020-11-05 | -20.43 | 181 |
| 2021-02-21 | 2021-03-13 | -16.26 | 19 |
| 2021-01-03 | 2021-01-06 | -14.30 | 2 |
| 2019-02-24 | 2019-04-02 | -14.21 | 37 |
| 2019-05-16 | 2019-06-16 | -13.22 | 30 |
| 2020-11-24 | 2020-11-30 | -9.23 | 5 |
| 2020-04-30 | 2020-05-07 | -8.73 | 7 |